BCBS 149

Definition

BCBS 149 is a document published by the Basel Committee on Banking Supervision on January 2009 in the Supervision category.

Title

Guidelines for computing capital for incremental risk in the trading book.

Abstract

The Basel Committee proposes to supplement the current value-at-risk (VaR) regulatory capital framework for trading exposures with an incremental risk capital charge (IRC). Since the financial market crisis that began in mid-2007, a number of major banking organisations have experienced large losses resulting from trading exposures. The IRC proposal follows the Committee's efforts, in collaboration with the International Organization of Securities Commissions (IOSCO), to improve the capital regime for trading book positions.

The IRC would represent an estimate of the default and migration risks of unsecuritised credit products over a one-year capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual positions or sets of positions. For securitised products, the capital charges of the banking book would apply. The IRC is intended to complement additional standards being applied to the VaR modelling framework (see the consultative document Revision to the Basel II market risk framework for more details regarding the proposed changes to the trading book regime).

The final version of this paper was released in July 2009 and the results of the trading book quantitative impact study have been released in October 2009.

Document Profile

Publication Date: January 2009
Publication Type: Consultative
Publication Status: Closed
Publication Category: Supervision
Number of Pages: 14
Keywords: IRC, Market Risk

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